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Results tagged with bivariate
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user 16797
Concerning two random variables
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Implementation of CoVaR (a systemic risk measure) in R
I'm trying to estimate CoVaR using bivariate DCC GARCH in R. The concept of CoVaR is the dependence adjusted of VaR, which was first introduced by Adrian and Brunnermeier (2011). … Step 2: For the return of institution $i$ and $j$, set up a bivariate GARCH model with DCC specification to estimate the pdf of $(X^i,X^j)$. …
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